This book contains an introduction to the mathematical theory of financial markets with
proportional transaction costs. Traditionally, a theoretical analysis of models with market …

Hedging a contingent claim with an asset which is not perfectly correlated with the
underlying asset results in unhedgeable residual risk. Even if the residual risk is considered …

We introduce a jump-diffusion model for asset returns with jumps drawn from a mixture of
normal distributions and show that this model adequately fits the historical data of the …

We extend and generalize some results on bounding security prices under two stochastic
volatility models that provide closed-form expressions for option prices. In detail, we …

In this paper, the valuation problem of a European call option in the presence of both
stochastic volatility and transaction costs is considered. In the limit of small transaction costs …

Globally, the energy supply in the market is tight and the oil price fluctuates sharply. With the
increasing degree of environmental pollution, both developed and developing countries pay …

This thesis provides a study on the theory of stochastic von Neumann-Gale dynamical
systems and their applications in Economics and Finance. This is a class of multivalued …

The aim of this work is to extend the classical capital growth theory pertaining to frictionless
financial markets to models taking into account various kinds of frictions, including …

Electronic platforms have been increasingly popular for executing large corporate bond
orders by asset managers, who in turn have to assess the quality of their executions via …

Purpose We examine the impact of market frictions in the form of trading costs on investor
average holding periods for stocks in the S&P global 1200 index to examine constraints on …